Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2743
Annualized Std Dev 0.3872
Annualized Sharpe (Rf=0%) -0.7083

Row

Daily Return Statistics

Close
Observations 3696.0000
NAs 1.0000
Minimum -0.2224
Quartile 1 -0.0109
Median -0.0014
Arithmetic Mean -0.0010
Geometric Mean -0.0013
Quartile 3 0.0075
Maximum 0.2451
SE Mean 0.0004
LCL Mean (0.95) -0.0018
UCL Mean (0.95) -0.0002
Variance 0.0006
Stdev 0.0244
Skewness 0.0159
Kurtosis 15.4336

Downside Risk

Close
Semi Deviation 0.0169
Gain Deviation 0.0202
Loss Deviation 0.0183
Downside Deviation (MAR=210%) 0.0219
Downside Deviation (Rf=0%) 0.0174
Downside Deviation (0%) 0.0174
Maximum Drawdown 0.9934
Historical VaR (95%) -0.0330
Historical ES (95%) -0.0563
Modified VaR (95%) -0.0334
Modified ES (95%) -0.0334
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9934 3102 3099 NA
2006-07-18 2007-10-09 2008-10-07 -0.4040 561 310 251
2008-10-28 2008-11-04 2008-11-20 -0.3157 18 6 12
2008-10-13 2008-10-13 2008-10-27 -0.1915 11 1 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA 1.2 -1.1 0.7 0.8 0.6 0.5 2.7
2007 -0.9 0.3 -0.2 -0.9 -0.4 -0.2 -2.1 -1.3 -2 3.9 -0.5 1.6 -2.8
2008 -2.2 4.8 -6.7 -3.1 0.3 -0.6 0.4 2.3 -0.4 -3.2 14.8 -2.3 2.7
2009 3.4 2.9 -4.1 -1.3 -4.5 -0.9 -0.3 3.8 4.1 5 -2.3 2.2 7.4
2010 -2.5 -1.3 -1.4 2.9 2.3 0.8 -0.1 -5.2 -0.8 -0.1 -4.5 -0.3 -10.1
2011 -2.5 3 -0.7 -0.7 4.4 -2.7 0.2 2 4.3 4.9 0 1.1 13.4
2012 -1.3 -0.4 -1.1 -1 4.5 -4.4 0.5 -1.4 -1 -2 0 -2.8 -10.2
2013 -2 -0.7 0.1 1.7 2.7 -1 -1.5 0.5 -0.8 -0.7 0.1 -0.9 -2.6
2014 1.9 -0.6 -0.9 0.3 -0.3 -1.5 0.9 -0.2 2.9 -2.2 0.6 1.6 2.4
2015 2.7 1 0.8 -1.9 -0.3 -1.7 0.6 5.5 0 0.9 -1.7 2 7.9
2016 0 -4.3 -1.2 0.5 -0.1 -0.3 0.4 -0.1 -1.7 1.1 -0.6 0.4 -5.7
2017 -0.1 -2.8 0.6 0.2 -1.3 -0.6 -0.4 -0.4 -0.1 -0.4 0.1 0.6 -4.5
2018 -0.4 3.3 -2.4 0.7 -1.8 -0.5 0.7 0.2 -1.6 -2.1 -1.5 -2.4 -7.7
2019 -0.4 -0.8 -2.4 1.1 2.7 -1 2.1 -0.2 2.7 -2 0.6 -0.4 1.7
2020 4.2 2.5 8.9 5 -0.8 0.3 -0.9 -1.8 -0.3 1.1 -1.2 -1.1 16.6
2021 -1.5 -3.8 1.4 NA NA NA NA NA NA NA NA NA -3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-13 1180. SPY    124  -0.0163 -0.027     0.0118  -0.0379   0.0128    0.231   0.0416 GLD    65.6  0.0097   0.0401
2 2006-07-14 1201. SPY    124. -0.0039 -0.0244    0.0002  -0.0403   0.005     0.229   0.0319 GLD    65.8  0.0046   0.0514
3 2006-07-17 1202. SPY    123. -0.0015 -0.0277   -0.022   -0.0413   0.0041    0.234   0.043  GLD    64.0 -0.0289   0.0311
4 2006-07-18 1190. SPY    124.  0.0051 -0.027    -0.0055  -0.0515   0.0132    0.259   0.0472 GLD    62.9 -0.0164  -0.0143
5 2006-07-19 1145. SPY    126.  0.0139 -0.00290   0.0163  -0.0402   0.0217    0.263   0.0371 GLD    64.0  0.018   -0.0137
6 2006-07-20 1162. SPY    125. -0.0068  0.0067    0.006   -0.048    0.0113    0.270   0.0212 GLD    62.5 -0.0233  -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart